NPORT-EX 2 dsl-confidential.htm NPORT-EX DOS

 

DoubleLine Income Solutions Fund

Schedule of Investments

December 31, 2021 (Unaudited)

 

 

 

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          

Asset Backed Obligations - 2.4%

      
905,571   AASET Ltd., Series 2019-2-C     6.41 % (a)(l)    10/16/2039     630,759  
1,250,000   Affirm Asset Securitization Trust, Series 2021-A-E     5.65 % (a)    08/15/2025     1,264,056  
1,000,000   Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A-D     5.83 % (a)    01/18/2028     993,959  
402,589   Castlelake Aircraft Securitization Trust, Series 2018-1-C     6.63 % (a)(l)    06/15/2043     316,257  
1,384,505   Castlelake Aircraft Securitization Trust, Series 2019-1A-C     6.90 % (a)(l)    04/15/2039     1,089,786  
1,949,499   Castlelake Aircraft Structured Trust, Series 2021-1A-C     7.00 % (a)(l)    01/15/2046     1,957,302  
2,433,697   GAIA Aviation Ltd., Series 2019-1-C     7.00 % (a)(k)(l)    12/15/2044     1,913,648  
967,130   Horizon Aircraft Finance Ltd., Series 2018-1-C     6.66 % (a)(l)    12/15/2038     765,064  
8,871,000   LendingClub Receivables Trust, Series 2020-3-B     7.50 % (a)    01/16/2046     9,020,618  
1,303,138   Pagaya AI Debt Selection Trust, Series 2020-2-NOTE     7.50 % (a)    12/15/2027     1,310,674  
3,100,000   Pagaya AI Debt Selection Trust, Series 2020-3-C     6.43 % (a)    05/17/2027     3,204,065  
2,750,000   Pagaya AI Debt Selection Trust, Series 2021-3-CERT     0.00 % (a)(l)(n)    05/15/2029     4,980,011  
55,000   SoFi Alternative Trust, Series 2021-2-R1     0.00 % (a)(l)(n)    08/15/2030     3,035,318  
50,000   SoFi Professional Loan Program, Series 2018-A-R1     0.00 % (a)(l)(n)    02/25/2042     1,350,254  
14,827   SoFi Professional Loan Program, Series 2018-A-R2     0.00 % (a)(l)(n)    02/25/2042     400,404  
100,000   SoFi Professional Loan Program, Series 2018-C-R1     0.00 % (a)(l)(n)    01/25/2048     2,065,485  
1,614,791   START Ireland, Series 2019-1-C     6.41 % (a)(l)    03/15/2044     1,262,747  
4,300,000   Summit Issuer LLC, Series 2020-1A-C     5.10 % (a)    12/20/2050     4,231,496  
2,000,000   Tesla Auto Lease Trust, Series 2019-A-E     5.48 % (a)    05/22/2023     2,057,270  
       

 

 

  

Total Asset Backed Obligations (Cost $42,675,994)

     41,849,173  
     

 

 

  

Bank Loans - 12.3%

 

3,165,000   AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %    04/20/2028     3,285,096  
2,119,688   Aegion Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %    05/17/2028     2,132,045  
3,000,000   Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor)     8.25 %    06/16/2025     3,000,345  
4,005,000   American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.25%, 0.75% Floor)     7.00 %    10/20/2028     4,037,901  
4,655,000   Applied Systems, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.50%, 0.75% Floor)     6.25 %    09/19/2025     4,704,040  
2,000,000   Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor)     8.25 %    03/06/2026     1,980,000  
2,165,000   Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.75%, 0.50% Floor)     6.25 %    12/10/2029     2,178,531  
5,005,000   Astra Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor)     5.75 %    10/25/2028     4,925,771  
9,665,000   Astra Acquisition Corporation, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.88%, 0.75% Floor)     9.63 %    10/25/2029     9,544,188  
905,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%)     5.35 %    01/31/2028     908,959  
4,225,000   Asurion LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%)     5.35 %    01/19/2029     4,213,128  

Principal Amount
$/Shares

  

Security Description

   Rate     

Maturity

           Value $          
4,069,800   Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor)     6.00 %     05/08/2028     4,018,928  
3,118,910   Avaya, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%)     4.36 %     12/15/2027     3,132,243  
7,855,000   Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%, 0.50% Floor)     7.50 %     12/10/2029     7,845,181  
5,505,000   Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor)     5.75 %     07/14/2026     5,527,075  
2,019,038   Connect U.S. Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor)     4.50 %     12/11/2026     2,021,733  
1,786,523   Cross Financial Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%, 0.75% Floor)     4.75 %     09/15/2027     1,799,171  
1,645,000   Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 0.75% Floor)     8.00 %     12/01/2028     1,660,932  
2,425,000   DG Investment Intermediate Holdings 2, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor)     7.50 %     03/19/2029     2,431,063  
1,727,804   DIRECTV Financing LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)     5.75 %     08/02/2027     1,731,623  
528,051   Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)     3.72 %     04/06/2026     515,230  
283,899   Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%)     3.72 %     04/06/2026     277,005  
2,830,000   Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor)     6.00 %     07/28/2028     2,837,075  
3,970,000   Endo Luxembourg Finance Company I SARL, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.00%, 0.75% Floor)     5.75 %     03/27/2028     3,871,504  
1,412,071   EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor)     4.75 %     05/09/2025     1,412,071  
1,250,000   Excelitas Technologies Corporation, Senior Secured Second Lien Term Loan     8.50 % (c)     12/01/2025     1,253,125  
3,460,000   Flynn Canada Ltd, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 0.50% Floor)     5.00 %     07/21/2028     3,312,950  
1,940,216   Foresight Energy LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 8.00%, 1.50% Floor)     9.50 % (l)     06/30/2027     1,940,216  
1,411,463   Geon Performance Solutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %     08/18/2028     1,425,577  
1,520,686   Getty Images, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)     4.63 %     02/19/2026     1,524,807  
877,800   GIP Blue Holding LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor)     5.50 %     09/29/2028     877,251  
7,587,663   Grab Holdings, Inc., Senior Secured First Lien Term Loan (2 Month LIBOR USD + 4.50%, 1.00% Floor)     5.50 %     01/29/2026     7,628,750  
3,891,620   Granite US Holdings Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%)     4.13 %     09/30/2026     3,896,485  
3,751,769   Greystone Select Financial LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.00%, 0.75% Floor)     5.75 %     06/16/2028     3,779,908  
2,985,538   Groupe Solmax, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %     05/29/2028     2,989,269  
7,323,356   Gulf Finance LLC, Senior Secured First Lien     7.75 % (c)     08/25/2026     6,867,953  
7,396,000   Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor)     7.00 %     07/07/2025     7,473,658  
1,109,425   ION Trading Technologies SARL, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%)     4.97 %     03/31/2028     1,113,741  

Principal Amount
$/Shares

  

Security Description

   Rate     

Maturity

           Value $          
728,175   Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %     07/07/2028     722,033  
1,799,550   Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor)     5.50 %     05/26/2025     1,788,303  
4,655,000   Kenan Advantage Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%, 0.75% Floor)     8.00 %     09/01/2027     4,649,181  
950,400   Kronos Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.50% Floor)     4.25 %     12/22/2026     925,010  
1,025,000   LaserShip, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.50%, 0.75% Floor)     8.25 %     04/30/2029     1,033,974  
687,680   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%)     1.09 %     06/30/2025     310,601  
52,939   Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%)     3.09 %     06/30/2024     31,499  
1,999,988   Lereta LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.75% Floor)     6.00 %     07/27/2028     2,001,657  
724,758   Longview Power LLC, Senior Secured First Lien Term Loan     10.10 % (c)     07/31/2025     735,629  
2,205,000   MedAssets Software Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan     7.25 % (c)     12/17/2029     2,204,305  
6,418,490   Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor)     4.75 %     10/01/2027     6,443,362  
865,000   Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor)     6.25 %     06/21/2027     914,526  
3,855,963   Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)     4.84 %     03/27/2026     3,841,503  
1,920,000   Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%, 0.50% Floor)     7.00 %     10/15/2029     1,935,840  
1,381,362   MLN US HoldCo LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%)     4.60 %     11/28/2025     1,338,353  
2,920,000   MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 8.75%)     8.85 %     11/30/2026     2,677,275  
905,000   NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.00%)     7.10 %     10/19/2026     889,615  
2,190,000   OLA Netherlands B.V., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor)     7.00 %     12/03/2026     2,211,900  
1,064,650   Oravel Stays Singapore PTE Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor)     9.00 %     06/23/2026     1,113,890  
5,895,000   Pearl Intermediate Parent LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%)     6.35 %     02/13/2026     5,928,189  
694,750   Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.00%, 0.75% Floor)     4.75 %     12/14/2027     696,925  
2,266,724   Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%)     4.85 %     03/11/2026     2,197,464  
2,860,000   Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%, 0.50% Floor)     7.25 %     09/21/2029     2,858,213  
295,029   Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 3.75%)     7.00 %     04/20/2022     75,232  
2,395,000   Restaurant Technologies, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%)     6.59 %     10/01/2026     2,391,000  
3,114,741   Riverbed Technology, Inc., Senior Secured First Lien Term Loan (2.00% PIK)     7.00 % (c)     12/07/2026     3,053,739  
835,000   Skillsoft Finance II, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor)     5.50 %     07/14/2028     839,872  

Principal Amount
$/Shares

  

Security Description

   Rate     

Maturity

           Value $          
3,771,145   Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)     6.85 %     06/26/2026     3,780,573  
2,188,378   The Edelman Financial Engines Centre LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.75% Floor)     4.25 %     04/07/2028     2,189,888  
4,200,000   The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%)     6.85 %     07/20/2026     4,224,066  
1,790,000   Think & Learn Private Limited, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.50%, 0.75% Floor)     6.25 %     11/24/2026     1,816,098  
1,890,000   TIBCO Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 7.25%)     7.35 %     03/03/2028     1,899,837  
498,949   Travel Leaders Group LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)     4.10 %     01/25/2024     457,736  
4,570,883   Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.50%, 1.00% Floor)     2.50 %     02/28/2025     4,711,140  
1,908,425   Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%)     5.22 %     05/29/2026     1,594,490  
860,000   UKG, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor)     5.75 %     05/03/2027     865,199  
4,000,000   Vantage Specialty Chemicals, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%, 1.00% Floor)     9.25 %     10/27/2025     3,904,160  
1,447,725   Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.00%)     4.10 %     08/27/2025     1,449,173  
2,837,888   Viad Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.00%, 0.50% Floor)     5.50 %     07/31/2028     2,836,128  
1,530,000   VT Topco, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.75% Floor)     7.50 %     07/31/2026     1,537,650  
2,940,000   WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (6 Month LIBOR USD + 5.75%, 1.00% Floor)     6.75 %     06/22/2026     2,872,012  
2,725,000   WeddingWire, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 8.25%)     8.38 %     12/21/2026     2,697,750  
490,000   WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.00%, 0.75% Floor)     7.75 %     07/26/2029     492,144  
        

 

 

  

Total Bank Loans (Cost $213,259,328)

     215,211,662  
      

 

 

  

Collateralized Loan Obligations - 13.7%

 

2,000,000   Apidos Ltd., Series 2015-21A-ER (3 Month LIBOR USD + 8.25%, 8.25% Floor)     8.37 % (a)     07/18/2027     1,995,220  
3,000,000   Apidos Ltd., Series 2016-24A-DR (3 Month LIBOR USD + 5.80%)     5.93 % (a)     10/20/2030     2,855,999  
2,500,000   Atrium, Series 15A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor)     5.97 % (a)     01/23/2031     2,477,491  
2,250,000   Babson Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%)     6.58 % (a)     10/20/2030     2,200,208  
3,000,000   Bain Capital Credit Ltd., Series 2017-2A-ER2 (3 Month LIBOR USD + 6.50%, 6.50% Floor)     6.62 % (a)     07/25/2034     2,952,999  
1,500,000   Barings Ltd., Series 2018-4A-E (3 Month LIBOR USD + 5.82%, 5.82% Floor)     5.94 % (a)     10/15/2030     1,480,394  
5,000,000   Barings Ltd., Series 2019-2A-DR (3 Month LIBOR USD + 6.78%, 6.78% Floor)     6.90 % (a)     04/15/2036     5,000,324  
1,000,000   Barings Ltd., Series 2020-1A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor)     6.77 % (a)     10/15/2036     993,216  
2,500,000   BlueMountain Ltd., Series 2015-2A-F (3 Month LIBOR USD + 6.80%, 6.80% Floor)     6.92 % (a)     07/18/2027     2,316,095  
6,500,000   Buttermilk Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.87 % (a)     10/15/2031     6,442,562  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
2,500,000   Canyon Capital Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 5.75%)     5.87 % (a)    07/15/2031     2,369,471  
6,650,000   Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%)     6.37 % (a)    07/15/2030     6,550,612  
2,500,000   Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.87 % (a)    07/15/2031     2,387,890  
1,000,000   Canyon Capital Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor)     6.53 % (a)    04/15/2034     991,401  
6,000,000   Canyon Capital Ltd., Series 2021-2A-E (3 Month LIBOR USD + 6.70%, 6.70% Floor)     6.82 % (a)    04/15/2034     5,979,846  
2,000,000   Carlyle Global Market Strategies Ltd., Series 2013-3A-DR (3 Month LIBOR USD + 5.50%)     5.62 % (a)    10/15/2030     1,834,637  
3,000,000   Carlyle Global Market Strategies Ltd., Series 2019-1A-D (3 Month LIBOR USD + 6.70%, 6.70% Floor)     6.83 % (a)    04/20/2031     2,950,228  
1,500,000   Carlyle US Ltd., Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor)     6.12 % (a)    04/15/2034     1,462,585  
1,500,000   Chenango Park Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.80%, 5.80% Floor)     5.92 % (a)    04/15/2030     1,459,028  
750,000   CIFC Funding Ltd., Series 2013-1A-DR (3 Month LIBOR USD + 6.65%)     6.77 % (a)    07/16/2030     746,583  
2,500,000   Dryden Ltd., Series 2018-55A-F (3 Month LIBOR USD + 7.20%)     7.32 % (a)    04/15/2031     2,332,822  
3,250,000   Dryden Ltd., Series 2019-68A-ER (3 Month LIBOR USD + 6.75%, 6.75% Floor)     6.87 % (a)    07/15/2035     3,224,381  
3,000,000   Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor)     5.27 % (a)    01/15/2031     2,865,406  
1,250,000   Galaxy Ltd., Series 2017-24A-E (3 Month LIBOR USD + 5.50%)     5.62 % (a)    01/15/2031     1,198,010  
1,077,391   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%)     5.14 % (a)(l)    04/28/2025     290,796  
1,186,295   Halcyon Loan Advisors Funding Ltd., Series 2014-2A-E (3 Month LIBOR USD + 5.75%)     5.89 % (a)(l)    04/28/2025     0  
1,500,000   HPS Loan Management Ltd., Series 13A-18-E (3 Month LIBOR USD + 5.50%, 5.50% Floor)     5.62 % (a)    10/15/2030     1,425,776  
1,000,000   HPS Loan Management Ltd., Series 15A-19-E (3 Month LIBOR USD + 6.60%, 6.60% Floor)     6.73 % (a)    07/22/2032     990,561  
3,500,000   LCM LP, Series 14A-FR (3 Month LIBOR USD + 7.61%)     7.74 % (a)    07/20/2031     2,915,140  
5,000,000   LCM LP, Series 17A-ER (3 Month LIBOR USD + 6.00%, 6.00% Floor)     6.12 % (a)    10/15/2031     4,647,502  
6,500,000   LCM Ltd., Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor)     5.43 % (a)    01/20/2031     5,980,113  
2,000,000   LCM Ltd., Series 28A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.88 % (a)    10/20/2030     1,929,385  
11,000,000   Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor)     5.93 % (a)    10/22/2030     10,655,874  
7,100,000   Madison Park Funding Ltd., Series 2015-18A-ER (3 Month LIBOR USD + 6.35%)     6.48 % (a)    10/21/2030     7,082,645  
3,000,000   Madison Park Funding Ltd., Series 2017-25A-D (3 Month LIBOR USD + 6.10%)     6.22 % (a)    04/25/2029     3,004,178  
500,000   Madison Park Funding Ltd., Series 2017-26A-ER (3 Month LIBOR USD + 6.50%)     6.63 % (a)    07/29/2030     498,112  
1,000,000   Madison Park Funding Ltd., Series 2019-34A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor)     6.77 % (a)    04/25/2032     997,555  
2,000,000   Madison Park Funding Ltd., Series 2019-37A-ER (3 Month LIBOR USD + 6.15%, 6.15% Floor)     6.27 % (a)    07/15/2033     2,006,087  

Principal Amount
$/Shares

  

Security Description

   Rate     

Maturity

           Value $          
2,750,000   Madison Park Funding Ltd., Series 2021-52A-E (3 Month LIBOR USD + 6.50%, 6.50% Floor)     6.59 % (a)     01/22/2035     2,750,000  
10,000,000   Magnetite Ltd., Series 2012-7A-DR2 (3 Month LIBOR USD + 4.50%)     4.62 % (a)     01/15/2028     9,431,434  
7,500,000   Magnetite Ltd., Series 2015-16A-ER (3 Month LIBOR USD + 5.00%)     5.12 % (a)     01/18/2028     7,478,275  
2,500,000   Magnetite Ltd., Series 2019-22A-ER (3 Month LIBOR USD + 6.35%, 6.35% Floor)     6.47 % (a)     04/15/2031     2,491,144  
500,000   Magnetite Ltd., Series 2020-26A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor)     6.04 % (a)     07/25/2034     494,953  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)     6.37 % (a)     04/15/2034     1,970,094  
1,000,000   Neuberger Berman Loan Advisers Ltd., Series 2019-31A-ER (3 Month LIBOR USD + 6.50%, 6.50% Floor)     6.63 % (a)     04/20/2031     1,000,020  
1,750,000   Neuberger Berman Loan Advisers Ltd., Series 2019-32A-ER (3 Month LIBOR USD + 6.10%, 6.10% Floor)     6.22 % (a)     01/20/2032     1,746,478  
2,250,000   Neuberger Berman Loan Advisers Ltd., Series 2019-33A-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor)     6.37 % (a)     10/16/2033     2,210,103  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2019-34A-E (3 Month LIBOR USD + 7.80%)     7.93 % (a)     01/20/2033     2,000,593  
2,000,000   Neuberger Berman Loan Advisers Ltd., Series 2021-40A-E (3 Month LIBOR USD + 5.85%, 5.85% Floor)     5.97 % (a)     04/16/2033     1,981,398  
2,000,000   Newark BSL Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.30%)     6.42 % (a)     07/25/2030     1,994,826  
3,675,000   Niagara Park Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 5.95%, 5.95% Floor)     6.07 % (a)     07/17/2032     3,633,749  
5,000,000   Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%)     7.27 % (a)     07/15/2029     4,977,776  
8,750,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.87 % (a)     07/17/2030     8,506,471  
5,460,000   Octagon Investment Partners Ltd., Series 2013-1A-ER (3 Month LIBOR USD + 7.00%)     7.12 % (a)     07/19/2030     5,479,806  
2,500,000   Octagon Investment Partners Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor)     7.16 % (a)     02/14/2031     2,490,489  
3,000,000   Octagon Investment Partners Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 7.25%)     7.37 % (a)     01/24/2033     2,991,161  
2,000,000   Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor)     8.21 % (a)     07/15/2030     1,870,491  
4,000,000   Octagon Investment Partners Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.20%)     6.33 % (a)     03/17/2030     4,014,940  
500,000   Octagon Investment Partners Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.25%, 3.25% Floor)     3.37 % (a)     10/15/2034     495,742  
3,750,000   Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 6.60%, 6.60% Floor)     6.72 % (a)     10/25/2032     3,738,538  
1,000,000   Octagon Investment Partners Ltd., Series 2019-1A-E (3 Month LIBOR USD + 7.69%, 7.69% Floor)     7.81 % (a)     10/15/2032     997,873  
2,000,000   Octagon Investment Partners Ltd., Series 2019-3A-ER (3 Month LIBOR USD + 6.75%, 6.75% Floor)     6.87 % (a)     07/15/2034     1,982,555  
1,000,000   Octagon Investment Partners Ltd., Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor)     6.95 % (a)     05/12/2031     990,030  
1,000,000   Octagon Investment Partners Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.60%, 6.60% Floor)     6.72 % (a)     07/15/2036     991,568  
500,000   Point Au Roche Park Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.10%, 6.10% Floor)     6.28 % (a)     07/20/2034     495,715  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
3,000,000   RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor)     5.92 % (a)    04/15/2036     2,944,768  
2,400,000   Sound Point Ltd., Series 2019-2A-ER (3 Month LIBOR USD + 6.47%, 6.47% Floor)     6.59 % (a)    07/15/2034     2,327,992  
500,000   Sound Point Ltd., Series 2020-2A-ER (3 Month LIBOR USD + 6.56%, 6.56% Floor)     6.68 % (a)    10/25/2034     483,461  
2,000,000   Sound Point Ltd., Series 2021-3A-E (3 Month LIBOR USD + 6.61%, 6.61% Floor)     6.74 % (a)    10/25/2034     1,983,106  
7,500,000   Stewart Park Ltd., Series 2015-1A-ER (3 Month LIBOR USD + 5.28%, 5.28% Floor)     5.40 % (a)    01/15/2030     7,228,049  
7,200,000   Venture Ltd., Series 2016-24A-E (3 Month LIBOR USD + 6.72%)     6.85 % (a)    10/20/2028     6,994,086  
5,000,000   Venture Ltd., Series 2017-26A-E (3 Month LIBOR USD + 6.80%)     6.93 % (a)    01/20/2029     4,659,365  
4,000,000   Venture Ltd., Series 2017-27A-E (3 Month LIBOR USD + 6.35%)     6.48 % (a)    07/20/2030     3,690,605  
4,050,000   Voya Ltd., Series 2016-4A-E2 (3 Month LIBOR USD + 6.65%)     6.78 % (a)    07/20/2029     3,938,358  
1,500,000   Voya Ltd., Series 2017-1A-D (3 Month LIBOR USD + 6.10%)     6.22 % (a)    04/17/2030     1,477,435  
1,000,000   Voya Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.25%, 5.25% Floor)     5.37 % (a)    07/15/2031     938,021  
1,000,000   Voya Ltd., Series 2018-2A-F (3 Month LIBOR USD + 7.29%, 7.29% Floor)     7.41 % (a)    07/15/2031     886,522  
2,000,000   Wind River Ltd., Series 2013-2A-E1R (3 Month LIBOR USD + 6.75%)     6.87 % (a)    10/18/2030     1,981,925  
3,500,000   Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor)     5.87 % (a)    01/15/2031     3,281,150  
2,000,000   Wind River Ltd., Series 2014-3A-ER2 (3 Month LIBOR USD + 6.22%, 6.22% Floor)     6.35 % (a)    10/22/2031     1,883,997  
5,000,000   Wind River Ltd., Series 2017-1A-ER (3 Month LIBOR USD + 7.06%, 7.06% Floor)     7.18 % (a)    04/18/2036     4,865,934  
3,000,000   Wind River Ltd., Series 2017-3A-ER (3 Month LIBOR USD + 7.05%, 7.05% Floor)     7.17 % (a)    04/15/2035     2,975,684  
1,000,000   Wind River Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.50%)     5.62 % (a)    07/15/2030     945,515  
1,000,000   Wind River Ltd., Series 2018-2A-E (3 Month LIBOR USD + 5.75%)     5.87 % (a)    07/15/2030     946,593  
       

 

 

  

Total Collateralized Loan Obligations (Cost $248,407,658)

     241,129,920  
     

 

 

  

Foreign Corporate Bonds - 57.6%

 

13,400,000   ABM Investama Tbk PT     9.50 % (a)    08/05/2026     12,799,629  
5,500,000   AES Argentina Generacion S.A.     7.75 % (a)    02/02/2024     4,682,645  
29,500,000   AES Argentina Generacion S.A.     7.75 %    02/02/2024     25,116,005  
13,200,000   AES Gener S.A. (5 Year Swap Rate USD + 4.64%)     7.13 % (j)    03/26/2079     13,680,546  
14,300,000   Agile Group Holdings Ltd. (5 Year CMT Rate + 11.08%)     7.75 % (d)    05/25/2025     6,867,575  
4,600,000   Agile Group Holdings Ltd. (5 Year CMT Rate + 11.25%)     8.38 % (d)    12/04/2023     2,248,251  
5,885,000   Agile Group Holdings Ltd. (5 Year CMT Rate + 11.29%)     7.88 % (d)    07/31/2024     2,826,271  
2,000,000   AI Candelaria Spain SLU     5.75 % (a)    06/15/2033     1,937,810  
4,600,000   AI Candelaria Spain SLU     5.75 %    06/15/2033     4,456,963  
10,000,000   Air Canada Class C Pass Through Trust     10.50 % (a)    07/15/2026     12,286,682  
16,100,000   Alpha Holdings S.A.     10.00 % (e)    12/19/2022     2,430,295  
400,000   Alpha Holdings S.A.     10.00 % (a)(e)    12/19/2022     60,380  
6,300,000   Alpha Holdings S.A.     9.00 % (e)    02/10/2025     934,731  
12,950,000   Alpha Holdings S.A.     9.00 % (a)(e)    02/10/2025     1,921,391  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
6,000,000   AMS AG     7.00 % (a)(j)    07/31/2025     6,369,375  
1,000,000   Banco Davivienda S.A. (10 Year CMT Rate + 5.10%)     6.65 % (a)(d)    04/22/2031     1,016,405  
10,500,000   Banco do Brasil S.A. (10 Year CMT Rate + 6.36%)     9.00 % (d)    06/18/2024     11,211,165  
16,800,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 % (a)(j)    04/16/2031     16,739,604  
8,805,000   Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%)     7.50 %     04/16/2031     8,773,346  
8,500,000   Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)     6.75 % (a)    11/04/2026     7,095,800  
12,550,000   Banco Macro S.A. (5 Year Swap Rate USD + 5.46%)     6.75 %    11/04/2026     10,476,740  
3,800,000   Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%)     6.63 % (a)(d)(j)    01/24/2032     3,788,600  
17,700,000   Braskem Idesa S.A.P.I.     6.99 % (a)    02/20/2032     17,795,580  
1,958,000   Calfrac Holdings LP     10.88 % (a)    03/15/2026     1,774,741  
10,050,000   Central China Real Estate Ltd.     7.25 %    07/16/2024     6,331,500  
16,000,000   Central China Real Estate Ltd.     7.25 %    08/13/2024     10,080,000  
18,230,000   CFG Investment Sac Escrow     0.00 % (e)(l)    07/30/2019     13,974,407  
22,250,000   Cia General de Combustibles S.A.     9.50 % (a)    03/08/2025     21,730,796  
2,800,000   Connect Finco LLC     6.75 % (a)    10/01/2026     2,947,280  
308,000   Corporacion Azucarera del Peru S.A.     6.38 %    08/02/2022     306,588  
9,400,000   Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)     9.13 % (a)(d)    11/29/2022     4,548,801  
26,961,000   Credito Real S.A.B. de C.V. (5 Year CMT Rate + 7.03%)     9.13 % (d)    11/29/2022     13,046,832  
12,044,000   Credivalores-Crediservicios SAS     9.75 %    07/27/2022     11,611,560  
12,550,000   Credivalores-Crediservicios SAS     8.88 % (a)    02/07/2025     9,319,755  
4,406,000   Credivalores-Crediservicios SAS     8.88 %    02/07/2025     3,271,940  
16,256,986   Digicel Group Ltd. (5.00% + 3.00% PIK or 8.00% PIK)     8.00 % (a)    04/01/2025     15,075,672  
4,211,890   Digicel Group Ltd. (7.00% PIK )     7.00 % (a)(d)    01/18/2022     3,668,535  
17,360,000   Docuformas SAPI de C.V.     10.25 % (a)    07/24/2024     15,561,244  
7,600,000   Docuformas SAPI de C.V.     10.25 %    07/24/2024     6,812,526  
2,000,000   Ecopetrol S.A.     5.88 %    05/28/2045     1,915,930  
25,000,000   Ecopetrol S.A.     5.88 %    11/02/2051     23,461,750  
19,474,000   Empresa Electrica Guacolda S.A.     4.56 %    04/30/2025     6,548,133  
16,700,000   Frigorifico Concepcion S.A.     7.70 % (a)    07/21/2028     16,849,465  
16,150,000   Frontera Energy Corporation     7.88 % (a)    06/21/2028     15,145,308  
4,206,000   FS Luxembourg SARL     10.00 % (a)    12/15/2025     4,616,022  
4,205,000   Garda World Security Corporation     6.00 % (a)    06/01/2029     4,021,683  
6,000,000   Geopark Ltd.     5.50 % (j)    01/17/2027     5,788,740  
10,000,000   Gilex Holding SARL     8.50 % (a)    05/02/2023     10,165,000  
7,800,000   Gilex Holding SARL     8.50 %    05/02/2023     7,928,700  
9,800,000   Gran Tierra Energy International Holdings Ltd.     6.25 %    02/15/2025     8,939,952  
18,500,000   Gran Tierra Energy, Inc.     7.75 % (a)    05/23/2027     16,830,375  
9,000,000   Gran Tierra Energy, Inc.     7.75 %    05/23/2027     8,187,750  
25,922,340   Grupo Idesa S.A. de C.V. (10.38% PIK )     10.00 % (a)    05/22/2026     17,367,968  
4,790,000   Hunt Oil Company of Peru LLC Sucursal Del Peru     6.38 %    06/01/2028     4,849,875  
5,650,000   Indika Energy Capital IV Pte Ltd.     8.25 %    10/22/2025     5,883,063  
6,200,000   Indika Energy Capital IV Pte Ltd.     8.25 % (a)(j)    10/22/2025     6,455,750  
15,000,000   Instituto Costarricense de Electricidad     6.38 % (a)(j)    05/15/2043     12,801,675  
19,511,000   Instituto Costarricense de Electricidad     6.38 % (j)    05/15/2043     16,651,565  
3,300,000   Intelsat Jackson Holdings S.A.     8.50 % (a)(e)    10/15/2024     1,515,937  
7,715,000   Intelsat Jackson Holdings S.A.     9.75 % (a)(e)    07/15/2025     3,550,134  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
11,800,000   Interpipe Holdings PLC     8.38 % (a)    05/13/2026     10,684,900  
5,925,566   Invepar Holdings     0.00 % (e)(l)    12/30/2028     0  
6,500,000   Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.98%)     6.13 % (d)(j)    12/12/2022     6,550,635  
9,300,000   Jababeka International B.V.     6.50 %    10/05/2023     8,734,023  
26,500,000   Kosmos Energy Ltd.     7.13 %    04/04/2026     25,770,190  
500,000   Kronos Acquisition Holdings, Inc.     7.00 % (a)(j)    12/31/2027     472,095  
2,300,000   Logan Group Corporation Ltd. (5 Year CMT Rate + 6.00%)     7.00 % (d)    05/31/2022     1,995,250  
12,950,000   Medco Laurel Tree Pte Ltd.     6.95 % (a)    11/12/2028     12,845,258  
10,000,000   Metinvest B.V.     7.75 %    10/17/2029     9,915,700  
15,000,000   NGD Holdings B.V.     6.75 %    12/31/2026     13,762,500  
23,000,000   Oi S.A. (8.00% + 4.00% PIK)     4.00 %    07/27/2025     20,208,375  
7,665,000   Operadora de Servicios Mega S.A. de C.V.     8.25 %    02/11/2025     7,136,307  
14,325,000   Operadora de Servicios Mega S.A. de C.V.     8.25 % (a)(j)    02/11/2025     13,336,933  
3,000,000   Pampa Energia S.A.     7.50 % (a)    01/24/2027     2,594,400  
8,850,000   Pampa Energia S.A.     7.50 %    01/24/2027     7,653,480  
5,000,000   Pampa Energia S.A.     9.13 % (a)    04/15/2029     4,425,950  
11,000,000   Pampa Energia S.A.     9.13 %    04/15/2029     9,737,090  
20,000,000   Peru LNG SRL     5.38 %    03/22/2030     17,331,200  
1,118,000   Petra Diamonds PLC (10.50% PIK)     11.00 % (a)    03/08/2026     1,157,130  
28,000,000   Petrobras Global Finance B.V.     5.50 % (j)    06/10/2051     26,025,300  
17,200,000   Petroleos Mexicanos     6.38 %    01/23/2045     14,968,902  
10,200,000   Petroleos Mexicanos     6.75 %    09/21/2047     9,072,645  
11,000,000   Rio Energy S.A.     6.88 %    02/01/2025     8,735,155  
9,000,000   Rio Energy S.A.     6.88 % (a)    02/01/2025     7,146,945  
2,200,000   RKI Overseas Finance     7.00 % (d)    06/23/2022     1,845,250  
19,296,000   RKP Overseas Finance     7.95 % (d)    02/17/2022     16,679,945  
8,810,000   RKPF Overseas Ltd. (5 Year CMT Rate + 6.00%)     7.75 % (d)    11/18/2024     7,527,308  
19,350,000   Ronshine China Holdings Ltd.     7.35 %    12/15/2023     7,353,000  
2,650,000   Ronshine China Holdings Ltd.     6.75 %    08/05/2024     1,007,000  
21,119,000   Sappi Papier Holding GMBH     7.50 % (a)    06/15/2032     22,808,520  
7,500,000   Sappi Papier Holding GMBH     7.50 %    06/15/2032     8,100,000  
1,330,000   Seaspan Corporation     5.50 % (a)    08/01/2029     1,345,169  
2,173,000   SierraCol Energy Andina LLC     6.00 %    06/15/2028     2,045,673  
5,400,000   SierraCol Energy Andina LLC     6.00 % (a)    06/15/2028     5,083,587  
23,467,953   Stoneway Capital Corporation     10.00 % (e)    03/01/2027     7,363,305  
14,835,000   Telecom Argentina S.A.     8.50 %    08/06/2025     14,349,896  
2,500,000   Telecom Argentina S.A.     8.50 % (a)    08/06/2025     2,418,250  
2,308,000   Telecom Argentina S.A.     8.00 %    07/18/2026     2,202,501  
16,000,000   Telecommunications Services of Trinidad & Tobago Ltd.     8.88 %    10/18/2029     17,048,880  
7,900,000   Telesat LLC     5.63 % (a)    12/06/2026     7,427,106  
3,021,000   Tervita Corporation     11.00 % (a)    12/01/2025     3,485,358  
8,700,000   Theta Capital Pte Ltd.     6.75 % (j)    10/31/2026     8,771,493  
22,900,000   Tullow Oil PLC     10.25 % (a)    05/15/2026     23,167,816  
9,095,000   TV Azteca S.A.     8.25 % (e)    08/09/2024     6,218,797  
300,000   Unifin Financiera S.A.B. de C.V.     8.38 %    01/27/2028     247,982  
11,000,000   Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)     8.88 % (a)(d)    01/29/2025     6,519,315  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
24,000,000   Unifin Financiera S.A.B. de C.V. (5 Year CMT Rate + 6.31%)     8.88 % (d)    01/29/2025     14,223,960  
20,000,000   Vedanta Resources Finance PLC     9.25 %    04/23/2026     18,663,900  
13,000,000   Vedanta Resources Finance PLC     9.25 % (a)    04/23/2026     12,131,535  
10,000,000   YPF Energia Electrica S.A.     10.00 % (a)    07/25/2026     8,972,100  
8,300,000   YPF S.A.     8.50 %    07/28/2025     6,245,833  
5,000,000   YPF S.A.     8.50 %    06/27/2029     3,487,125  
850,000   YPF S.A.     8.50 % (a)    06/27/2029     592,811  
20,807,000   YPF S.A.     7.00 %    12/15/2047     12,591,460  
12,000,000   Yuzhou Properties Company Ltd.     8.30 %    05/27/2025     3,540,000  
10,700,000   Yuzhou Properties Company Ltd.     7.38 %    01/13/2026     3,103,000  
       

 

 

  

Total Foreign Corporate Bonds (Cost $1,201,995,436)

     1,011,880,979  
     

 

 

  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 4.2%

 

32,000,000   Brazilian Government International Bond     4.75 %    01/14/2050     28,512,320  
500,000   Colombia Government International Bond     4.13 %    02/22/2042     418,750  
10,000,000   Colombia Government International Bond     5.00 %    06/15/2045     9,062,500  
12,000,000   Colombia Government International Bond     4.13 % (j)    05/15/2051     9,780,000  
4,900,000   El Salvador Government International Bond     7.12 %    01/20/2050     2,719,500  
8,000,000   Mexico Government International Bond     3.77 %    05/24/2061     7,391,080  
17,600,000   Ukraine Government International Bond     7.25 %    03/15/2033     15,593,776  
       

 

 

  

Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $78,691,220)

     73,477,926  
     

 

 

  

Non-Agency Commercial Mortgage Backed Obligations - 16.9%

 

13,000,000   Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor)     5.11 % (a)    04/15/2034     12,937,529  
10,000,000   Atrium Hotel Portfolio Trust, Series 2018-ATRM-E (1 Month LIBOR USD + 3.40%, 3.40% Floor)     3.51 % (a)    06/15/2035     9,560,649  
6,325,000   Beast Mortgage Trust, Series 2021-1818-G (1 Month LIBOR USD + 6.00%, 6.25% Floor)     6.25 % (a)    03/15/2036     6,362,593  
121,775,000   Benchmark Mortgage Trust, Series 2020-B18-AGNX     0.47 % (a)(f)(g)    07/15/2053     2,013,793  
7,130,000   BSREP Commercial Mortgage Trust, Series 2021-DC-G (1 Month LIBOR USD + 3.85%, 3.85% Floor)     3.96 % (a)    08/15/2038     7,053,017  
10,200,000   Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX1     1.28 % (a)(f)(g)    11/15/2052     884,951  
12,080,000   Cantor Commercial Real Estate Lending, Series 2019-CF2-SWX2     1.01 % (a)(f)(g)    11/15/2052     803,505  
8,095,225   Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor)     2.96 % (a)    10/15/2035     7,839,066  
30,514,411   Citigroup Commercial Mortgage Trust, Series 2014-GC25-XG     1.21 % (a)(f)(g)    10/10/2047     829,504  
4,484,000   Citigroup Commercial Mortgage Trust, Series 2015-GC27-D     4.42 % (a)(f)    02/10/2048     4,327,533  
3,929,315   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-F     3.75 % (a)(l)    08/10/2047     1,152,279  
7,054,838   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-G     3.75 % (a)(l)    08/10/2047     595,132  
14,000   Commercial Mortgage Pass-Through Certificates, Series 2014-UBS4-V     0.00 % (a)(f)(l)    08/10/2047     1  
18,438,000   Commercial Mortgage Pass-Through Certificates, Series 2015-CR26-XD     1.23 % (a)(f)(g)    10/10/2048     780,197  
4,875,000   DOLP Trust, Series 2021-NYC-G     3.70 % (a)(f)    05/10/2041     4,185,884  
3,505,144   FREMF Mortgage Trust, Series 2016-KF13-B (1 Month LIBOR USD + 7.50%)     7.59 % (a)    11/25/2025     3,614,711  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
537,915   FREMF Mortgage Trust, Series 2016-KF15-B (1 Month LIBOR USD + 7.68%)     7.77 % (a)    02/25/2023     543,174  
1,984,389   FREMF Mortgage Trust, Series 2016-KF16-B (1 Month LIBOR USD + 6.64%)     6.73 % (a)    03/25/2026     2,006,562  
3,358,354   FREMF Mortgage Trust, Series 2016-KF23-B (1 Month LIBOR USD + 5.15%)     5.24 % (a)    09/25/2023     3,339,624  
3,022,178   FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor)     4.44 % (a)    12/25/2026     3,037,511  
18,386,052   FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor)     5.89 % (a)    11/25/2028     18,574,193  
22,040,628   FREMF Mortgage Trust, Series 2019-KF71-C (1 Month LIBOR USD + 6.00%, 6.00% Floor)     6.09 % (a)    10/25/2029     22,518,006  
20,000,000   Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor)     3.24 % (a)    12/15/2036     18,827,288  
8,000,000   GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor)     5.11 % (a)    11/15/2036     8,024,342  
7,896,000   GS Mortgage Securities Corporation Trust, Series 2021-ARDN-H (1 Month LIBOR USD + 5.93%, 5.93% Floor)     6.04 % (a)    11/15/2026     7,922,827  
2,730,000   GS Mortgage Securities Corporation, Series 2014-GC20-E     4.46 % (a)(f)(l)    04/10/2047     41  
65,010,362   GS Mortgage Securities Corporation, Series 2014-GC20-XD     1.28 % (a)(f)(g)    04/10/2047     1,863,382  
6,273,000   GS Mortgage Securities Corporation, Series 2015-GC28-D     4.32 % (a)(f)    02/10/2048     6,241,614  
5,000,000   Hilton USA Trust, Series 2016-SFP-E     5.52 % (a)    11/05/2035     5,009,401  
16,270,694   HPLY Trust, Series 2019-HIT-G (1 Month LIBOR USD + 3.90%, 3.90% Floor)     4.01 % (a)    11/15/2036     15,909,550  
44,144,374   JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC     0.95 % (a)(f)(g)    08/15/2046     732,748  
14,113,175   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E     4.00 % (a)(f)(l)    04/15/2047     11,899,593  
7,840,900   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F     3.75 % (a)(f)(l)    04/15/2047     4,768,876  
21,436,732   JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR     3.75 % (a)(f)(l)    04/15/2047     2,613,354  
44,844,097   JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-XD     0.74 % (a)(f)(g)    08/15/2047     632,441  
1,600,000   JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-D     3.88 % (a)(f)    01/15/2048     1,542,273  
5,000,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-E     2.81 % (a)(f)(l)    02/15/2048     3,770,337  
24,531,000   JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-XE     1.50 % (a)(f)(g)    02/15/2048     999,494  
2,379,000   LSTAR Commercial Mortgage Trust, Series 2017-5-C     4.87 % (a)(f)    03/10/2050     2,473,200  
15,000,000   Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor)     5.36 % (a)    11/15/2038     14,948,763  
5,427,060   Morgan Stanley Capital Trust, Series 2012-C4-C     5.41 % (a)(f)    03/15/2045     5,409,101  
34,915,240   Morgan Stanley Capital Trust, Series 2016-UB11-XA     1.50 % (f)(g)    08/15/2049     1,814,772  
11,453,000   Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 6.90%, 6.90% Floor)     7.01 % (a)    11/15/2034     10,079,213  
3,357,000   Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor)     2.91 % (a)    05/15/2036     3,179,393  
13,000,000   Morgan Stanley Capital Trust, Series 2019-PLND-G (1 Month LIBOR USD + 3.65%, 3.65% Floor)     3.76 % (a)    05/15/2036     11,887,222  
4,298,015   TTAN, Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor)     4.31 % (a)    03/15/2038     4,326,691  
7,458,000   UBS Commercial Mortgage Trust, Series 2017-C6-D     2.50 % (a)(f)    12/15/2050     6,475,960  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
5,000,000   UBS Commercial Mortgage Trust, Series 2018-NYCH-F (1 Month LIBOR USD + 3.82%, 3.82% Floor)     3.93 % (a)    02/15/2032     4,868,053  
1,876,000   UBS Commercial Mortgage Trust, Series 2018-NYCH-G (1 Month LIBOR USD + 4.84%, 4.84% Floor)     4.95 % (a)    02/15/2032     1,783,385  
1,789,951   Wachovia Bank Commercial Mortgage Trust, Series 2006-C28-D     5.72 % (f)    10/15/2048     1,776,974  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-E     3.25 % (a)(l)    08/15/2050     49  
4,870,000   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XC     1.54 % (a)(f)(g)    08/15/2050     170,179  
5,769,354   Wells Fargo Commercial Mortgage Trust, Series 2014-LC16-XD     1.54 % (a)(f)(g)    08/15/2050     195,570  
9,180,600   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-F     4.21 % (a)(f)(l)    06/15/2048     5,976,359  
39,018,814   Wells Fargo Commercial Mortgage Trust, Series 2015-C29-G     4.21 % (a)(f)(l)    06/15/2048     11,542,350  
23,520,000   Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-XEF     1.77 % (a)(f)(g)    10/15/2049     1,654,493  
2,200,000   Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D     3.25 % (a)    01/15/2060     2,039,065  
78,810,168   WF-RBS Commercial Mortgage Trust, Series 2014-LC14-XC     1.73 % (a)(f)(g)    03/15/2047     2,780,639  
       

 

 

  

Total Non-Agency Commercial Mortgage Backed Obligations (Cost $324,378,303)

     297,098,406  
     

 

 

  

US Corporate Bonds - 24.8%

 

15,310,000   Air Methods Corporation     8.00 % (a)(j)    05/15/2025     13,125,110  
3,770,000   Allied Universal Holdco LLC     9.75 % (a)    07/15/2027     4,032,354  
3,915,000   Ambience Merger Sub, Inc.     7.13 % (a)(j)    07/15/2029     3,851,988  
1,695,000   Arconic Corporation     6.13 % (a)    02/15/2028     1,806,667  
2,665,000   Avaya, Inc.     6.13 % (a)(j)    09/15/2028     2,829,497  
5,215,000   BCPE Empire Holdings, Inc.     7.63 % (a)    05/01/2027     5,330,095  
750,000   Boxer Parent Company, Inc.     7.13 % (a)    10/02/2025     787,384  
1,700,000   Cablevision Lightpath LLC     5.63 % (a)    09/15/2028     1,678,265  
5,800,000   Carnival Corporation     7.63 % (a)    03/01/2026     6,087,419  
8,280,000   Castle US Holding Corporation     9.50 % (a)    02/15/2028     8,643,616  
6,450,000   Cengage Learning, Inc.     9.50 % (a)    06/15/2024     6,497,021  
1,136,000   Clarios Global LP     6.75 % (a)    05/15/2025     1,191,113  
5,110,000   Clear Channel Outdoor Holdings, Inc.     7.50 % (a)    06/01/2029     5,463,714  
4,665,000   Cobra Acquisition Company LLC     6.38 % (a)    11/01/2029     4,613,242  
1,680,000   Community Health Systems, Inc.     6.00 % (a)    01/15/2029     1,793,954  
3,815,000   Constellation Merger Sub, Inc.     8.50 % (a)    09/15/2025     3,647,693  
1,880,000   Coty, Inc.     6.50 % (a)(j)    04/15/2026     1,941,156  
10,160,000   CSI Compressco LP     7.50 % (a)(j)    04/01/2025     10,276,586  
7,695,000   CVR Nitrogen Finance Corporation     6.13 % (a)    06/15/2028     8,129,575  
1,701,633   CWT Travel Group, Inc.     8.50 % (a)    11/19/2026     1,741,417  
6,120,000   Dealer Tire LLC     8.00 % (a)    02/01/2028     6,379,090  
1,320,000   Delta Air Lines, Inc.     7.00 % (a)    05/01/2025     1,510,467  
3,160,000   DISH DBS Corporation     5.75 % (a)    12/01/2028     3,197,525  
3,975,000   EES Finance Corporation     8.13 % (j)    05/01/2025     3,700,884  
15,745,000   Embarq Corporation     8.00 %    06/01/2036     17,660,222  
3,080,000   Endo Luxembourg Finance Company I SARL     6.13 % (a)(j)    04/01/2029     3,024,483  
1,550,000   Envision Healthcare Corporation     8.75 % (a)    10/15/2026     892,978  
8,335,000   Ferrellgas Escrow LLC     5.88 % (a)    04/01/2029     8,013,602  
1,375,000   Frontier Communications Corporation     5.88 % (a)    10/15/2027     1,456,187  
2,625,000   Full House Resorts, Inc.     8.25 % (a)    02/15/2028     2,759,978  
10,000,000   GTT Communications, Inc.     7.88 % (a)(e)    12/31/2024     1,250,000  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
6,405,000   Hexion, Inc.     7.88 % (a)(j)    07/15/2027     6,763,680  
1,325,000   Hightower Holding LLC     6.75 % (a)    04/15/2029     1,362,902  
4,247,000   Illuminate Buyer LLC     9.00 % (a)    07/01/2028     4,535,095  
4,000,000   IRB Holding Corporation     7.00 % (a)    06/15/2025     4,235,940  
2,499,048   JetBlue Pass Through Trust - Class B     8.00 %    11/15/2027     2,895,744  
765,000   LD Holdings Group LLC     6.50 % (a)    11/01/2025     755,583  
5,400,000   LD Holdings Group LLC     6.13 % (a)(j)    04/01/2028     5,097,168  
775,000   LFS Topco LLC     5.88 % (a)    10/15/2026     800,994  
4,820,000   Lions Gate Capital Holdings LLC     5.50 % (a)    04/15/2029     4,912,906  
5,000,000   Live Nation Entertainment, Inc.     5.63 % (a)    03/15/2026     5,174,625  
790,000   Live Nation Entertainment, Inc.     6.50 % (a)    05/15/2027     865,014  
2,780,000   Logan Merger Sub, Inc.     5.50 % (a)    09/01/2027     2,816,251  
6,330,000   LSF9 Atlantis Holdings LLC     7.75 % (a)    02/15/2026     6,408,081  
3,615,000   Matterhorn Merger Sub LLC     8.50 % (a)    06/01/2026     3,618,760  
3,865,000   Mav Acquisition Corporation     5.75 % (a)    08/01/2028     3,832,205  
3,850,000   Metis Merger Sub LLC     6.50 % (a)    05/15/2029     3,786,841  
2,135,000   Mileage Plus Holdings LLC     6.50 % (a)    06/20/2027     2,282,326  
1,385,000   ModivCare, Inc.     5.88 % (a)    11/15/2025     1,455,912  
5,425,000   Moss Creek Resources Holdings, Inc.     7.50 % (a)(j)    01/15/2026     5,078,017  
11,420,000   NGL Energy Operating LLC     7.50 % (a)(j)    02/01/2026     11,792,349  
1,295,000   NGL Energy Partners LP     7.50 % (j)    04/15/2026     1,111,809  
550,000   Olympus Water US Holding Corporation     6.25 % (a)    10/01/2029     537,023  
5,819,000   Ortho-Clinical Diagnostics, Inc.     7.25 % (a)(j)    02/01/2028     6,263,979  
6,440,000   Panther BF Aggregator LP     8.50 % (a)    05/15/2027     6,834,675  
7,455,000   Par Petroleum Finance Corporation     7.75 % (a)    12/15/2025     7,563,880  
9,820,000   PBF Holding Company LLC     9.25 % (a)(j)    05/15/2025     9,352,126  
2,713,155   Peabody Energy Corporation (6.00% + 2.50% PIK)     8.00 % (a)    12/31/2024     2,586,708  
3,580,000   PECF USS Intermediate Holding III Corporation     8.00 % (a)    11/15/2029     3,712,603  
3,029,000   PIC AU Holdings LLC     10.00 % (a)    12/31/2024     3,123,959  
8,175,000   PowerTeam Services LLC     9.03 % (a)(j)    12/04/2025     8,657,734  
3,060,000   Premier Entertainment Sub LLC     5.88 % (a)    09/01/2031     3,075,300  
13,815,470   Pyxus Holdings, Inc.     10.00 %    08/24/2024     11,895,672  
9,880,000   Radiology Partners, Inc.     9.25 % (a)(j)    02/01/2028     10,389,166  
5,050,000   Realogy Group LLC     5.75 % (a)(j)    01/15/2029     5,183,951  
3,915,000   Rent-A-Center, Inc.     6.38 % (a)(j)    02/15/2029     4,086,947  
200,000   Sabre Global, Inc.     9.25 % (a)    04/15/2025     226,230  
6,630,000   Sabre Global, Inc.     7.38 % (a)(j)    09/01/2025     6,937,367  
1,790,000   SCIH Salt Holdings, Inc.     6.63 % (a)(j)    05/01/2029     1,676,165  
4,220,000   SEG Holding LLC     5.63 % (a)(j)    10/15/2028     4,426,675  
8,340,000   SWF Escrow Issuer Corporation     6.50 % (a)    10/01/2029     8,028,167  
1,500,000   Tallgrass Energy Partners LP     7.50 % (a)    10/01/2025     1,625,273  
8,145,000   Team Health Holdings, Inc.     6.38 % (a)(j)    02/01/2025     7,674,952  
5,300,000   TKC Holdings, Inc.     10.50 % (a)    05/15/2029     5,731,526  
1,930,000   TMS International Corporation     6.25 % (a)    04/15/2029     1,923,062  
5,975,000   Townsquare Media, Inc.     6.88 % (a)(j)    02/01/2026     6,347,183  
1,095,000   TransDigm, Inc.     8.00 % (a)    12/15/2025     1,156,577  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
3,000,000   Trident TPI Holdings, Inc.     9.25 % (a)    08/01/2024     3,138,480  
5,070,000   Triton Water Holdings, Inc.     6.25 % (a)    04/01/2029     4,869,786  
10,280,000   Triumph Group, Inc.     7.75 % (j)    08/15/2025     10,213,591  
8,375,000   Uber Technologies, Inc.     8.00 % (a)(j)    11/01/2026     8,931,812  
5,525,000   Uber Technologies, Inc.     7.50 % (a)    09/15/2027     6,019,488  
870,000   Unifrax Escrow Issuer Corporation     7.50 % (a)    09/30/2029     879,935  
2,500,000   Unisys Corporation     6.88 % (a)    11/01/2027     2,710,000  
9,485,000   United Natural Foods, Inc.     6.75 % (a)(j)    10/15/2028     10,170,528  
5,005,000   Univision Communications, Inc.     6.63 % (a)    06/01/2027     5,397,968  
2,585,000   Valeant Pharmaceuticals International, Inc.     8.50 % (a)    01/31/2027     2,717,985  
2,995,000   Viking Cruises Ltd.     13.00 % (a)    05/15/2025     3,393,739  
5,205,000   WASH Multifamily Acquisition, Inc.     5.75 % (a)    04/15/2026     5,476,675  
86,000   Weatherford International Ltd.     11.00 % (a)(j)    12/01/2024     88,669  
2,590,000   Weatherford International Ltd.     6.50 % (a)(j)    09/15/2028     2,744,105  
820,000   Weatherford International Ltd.     8.63 % (a)    04/30/2030     852,640  
1,490,000   Wheel Pros, Inc.     6.50 % (a)    05/15/2029     1,432,493  
5,442,000   Wolverine Escrow LLC     9.00 % (a)    11/15/2026     5,175,968  
2,050,000   WR Grace Holdings LLC     5.63 % (a)    08/15/2029     2,103,813  
6,210,000   XHR LP     6.38 % (a)(j)    08/15/2025     6,575,552  
       

 

 

  

Total US Corporate Bonds (Cost $435,939,595)

     434,805,611  
     

 

 

  

US Government and Agency Mortgage Backed Obligations - 4.5%

 

55,988,065   Federal Home Loan Mortgage Corporation, Series 2021-P009-X     1.47 % (f)(g)    01/25/2031     4,012,021  
6,266,950   Federal Home Loan Mortgage Corporation, Series 3631-SJ (-1 x 1 Month LIBOR USD + 6.24%, 6.24% Cap)     6.13 % (g)(h)    02/15/2040     1,133,166  
2,583,076   Federal Home Loan Mortgage Corporation, Series 3770-SP (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)     6.39 % (g)(h)    11/15/2040     197,600  
14,242,788   Federal Home Loan Mortgage Corporation, Series 3980-SX (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap)     6.39 % (g)(h)    01/15/2042     2,847,779  
27,274,600   Federal Home Loan Mortgage Corporation, Series 5129-S (-1 x Secured Overnight Financing Rate 30 Day Average + 2.70%, 2.70% Cap)     2.65 % (g)(h)    12/25/2044     1,366,389  
3,202,177   Federal National Mortgage Association, Series 2006-83-SH (-1 x 1 Month LIBOR USD + 6.56%, 6.56% Cap)     6.46 % (g)(h)    09/25/2036     517,181  
10,719,976   Federal National Mortgage Association, Series 2010-123-SK (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     5.95 % (g)(h)    11/25/2040     1,978,882  
7,819,792   Federal National Mortgage Association, Series 2012-60-SN (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap)     6.50 % (g)(h)    06/25/2042     1,475,267  
14,030,178   Federal National Mortgage Association, Series 2019-46-SG (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap)     6.00 % (g)(h)    08/25/2049     2,451,531  
53,593,153   Federal National Mortgage Association, Series 2021-17-SD (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap)     2.45 % (g)(h)    04/25/2051     2,913,270  
11,604,817   Government National Mortgage Association, Series 2011-128-TS (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     5.94 % (g)(h)    05/16/2041     1,853,135  
35,356,706   Government National Mortgage Association, Series 2015-64-SG (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)     5.50 % (g)(h)    05/20/2045     6,170,085  
6,553,270   Government National Mortgage Association, Series 2018-145-IA     4.00 % (g)    10/20/2045     466,255  
24,617,211   Government National Mortgage Association, Series 2019-22-SD (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap)     5.94 % (g)(h)    12/16/2043     3,703,765  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          
5,662,408   Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     3.65 % (g)(h)    09/20/2050     532,293  
19,862,803   Government National Mortgage Association, Series 2020-146-SH (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap)     6.20 % (g)(h)    10/20/2050     3,330,346  
7,233,092   Government National Mortgage Association, Series 2020-187-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap)     6.20 % (g)(h)    12/20/2050     1,488,437  
27,926,499   Government National Mortgage Association, Series 2020-47-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap)     5.90 % (g)(h)    05/20/2044     4,646,255  
30,368,832   Government National Mortgage Association, Series 2020-47-SL (-1 x 1 Month LIBOR USD + 5.37%, 5.37% Cap)     5.27 % (g)(h)    07/20/2044     4,178,803  
16,499,843   Government National Mortgage Association, Series 2020-61-SU (-1 x 1 Month LIBOR USD + 5.60%, 5.60% Cap)     5.49 % (g)(h)    07/16/2045     2,388,082  
49,193,029   Government National Mortgage Association, Series 2020-88-IO     0.90 % (f)(g)    04/16/2060     3,320,362  
39,752,284   Government National Mortgage Association, Series 2021-107-SA (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     3.65 % (g)(h)    06/20/2051     4,961,498  
28,963,281   Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 3.25% Cap)     3.20 % (g)(h)    07/20/2051     1,791,579  
50,260,205   Government National Mortgage Association, Series 2021-139-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap)     3.15 % (g)(h)    08/20/2051     5,336,764  
56,800,309   Government National Mortgage Association, Series 2021-77-SG (-1 x 1 Month LIBOR USD + 3.75%, 3.75% Cap)     3.65 % (g)(h)    05/20/2051     5,825,599  
48,343,042   Government National Mortgage Association, Series 2021-96-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 3.20% Cap)     3.15 % (g)(h)    06/20/2051     4,117,319  
73,419,497   Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap)     2.55 % (g)(h)    06/20/2051     3,801,764  
38,836,390   Government National Mortgage Association, Series 2021-97-SG (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 2.60% Cap)     2.55 % (g)(h)    06/20/2051     2,639,177  
       

 

 

  

Total US Government and Agency Mortgage Backed Obligations (Cost $99,985,818)

     79,444,604  
     

 

 

  

Common Stocks - 2.4%

      
51,725   ATD Holdings, Inc. (b)(j)(l)         4,422,487  
288,460   Calfrac Well Services Ltd. (b)         943,264  
50,425   CWT Travel Holdings, Inc. (b)(l)         1,739,663  
283,355   Foresight Equity (b)(l)         5,395,084  
339,999   Frontera Energy Corporation (b)         2,767,595  
468,716   Hexion Holdings Corporation (b)         13,571,672  
333,957   Legacy Backstop (b)(l)         6,512,162  
26,458   Legacy Notes (b)(l)         515,931  
183,948   Longview Equity (b)(l)         827,766  
292,727   McDermott International Ltd. (b)(j)         120,018  
808,534   Petra Diamonds Ltd. (b)         809,847  
59,296   Riverbed Technology, Inc. (b)(l)         919,088  
33,058   Summit Midstream Partners LP (b)         733,888  
97,836   Weatherford International PLC (b)         2,712,014  
       

 

 

  

Total Common Stocks (Cost $75,336,897)

     41,990,479  
     

 

 

  

Principal Amount
$/Shares

  

Security Description

   Rate    

Maturity

           Value $          

Warrants - 0.0%

 

4,944,181   OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00 (b)(l)         1  
       

 

 

  

Total Warrants (Cost $1)

     1  
     

 

 

  

Preferred Stocks - 0.0%

 

27,516   Riverbed Technology, Inc.     1.50 % (l)    11/17/2028     590,221  
       

 

 

  

Total Preferred Stocks (Cost $584,574)

     590,221  
     

 

 

  

Short Term Investments - 0.9%

 

Foreign Corporate Bonds - 0.0%

 

757,984   Alpha Holdings S.A. (10.00% PIK)     10.00 % (a)(l)    02/01/2022     757,984  
       

 

 

  
    757,984  
       

 

 

  

Money Market Funds - 0.9%

 

4,899,676   BlackRock Liquidity Funds FedFund - Institutional Shares     0.03 % (i)        4,899,676  
4,899,394   Fidelity Institutional Money Market Government Portfolio - Class I     0.01 % (i)        4,899,394  
4,899,693   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class     0.03 % (i)        4,899,693  
       

 

 

  
    14,698,763  
       

 

 

  

Total Short Term Investments (Cost $15,456,747)

     15,456,747  
     

 

 

  

Total Investments - 139.7% (Cost $2,736,711,571) (m)

     2,452,935,729  
Liabilities in Excess of Other Assets - (39.7)%     (697,045,230 ) 
     

 

 

  

NET ASSETS - 100.0%

   $ 1,755,890,499  
     

 

 

  

  (a)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers.

 

 

  (b)

Non-income producing security

 

 

  (c)

Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.

 

 

  (d)

Perpetual Maturity. The date disclosed is the next call date of the security.

 

 

  (e)

Security is in default or has failed to make a scheduled payment. Income is not being accrued.

 

 

  (f)

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.

 

 

  (g)

Interest only security

 

 

  (h)

Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

 

 

  (i)

Seven-day yield as of period end

 

 

  (j)

Security, or portion of security, is on loan as of period end pursuant to the Liquidity Agreement.

 

 

  (k)

The interest rate will step up if the issuer does not redeem the bond on or before a scheduled redemption date in accordance with the terms of the instrument. The interest rate shown is the rate in effect as of period end.

 

 

  (l)

Value determined using significant unobservable inputs.

 

 

  (m)

Under the Fund’s Liquidity Agreement, the Lender, through their agent, have been granted a security interest in all of the Fund’s investments in consideration of the Fund’s borrowings under the line of credit with the Lender

 

 

  (n)

Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of the period end.

 

 

  BRL

Brazilian Real

 

 

  PIK

A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:

 

Foreign Corporate Bonds

     57.6%  

US Corporate Bonds

     24.8%  

Non-Agency Commercial Mortgage Backed Obligations

     16.9%  

Collateralized Loan Obligations

     13.7%  

Bank Loans

     12.3%  

US Government and Agency Mortgage Backed Obligations

     4.5%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     4.2%  

Asset Backed Obligations

     2.4%  

Common Stocks

     2.4%  

Short Term Investments

     0.9%  

Preferred Stocks

     0.0% (o) 

Warrants

     0.0% (o) 

Other Assets and Liabilities

     (39.7)%  
 

 

 

  
                100.0%  
 

 

 

  

INVESTMENT BREAKDOWN as a % of Net Assets:

 

Energy

     21.6%  

Non-Agency Commercial Mortgage Backed Obligations

     16.9%  

Collateralized Loan Obligations

     13.7%  

Finance

     8.1%  

Utilities

     7.8%  

Telecommunications

     6.0%  

Real Estate

     5.4%  

Mining

     4.7%  

US Government and Agency Mortgage Backed Obligations

     4.5%  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     4.2%  

Media

     3.9%  

Banking

     3.7%  

Electronics/Electric

     3.4%  

Healthcare

     3.4%  

Chemicals/Plastics

     2.8%  

Commercial Services

     2.6%  

Asset Backed Obligations

     2.4%  

Consumer Products

     2.4%  

Aerospace & Defense

     2.3%  

Chemical Products

     2.0%  

Technology

     1.9%  

Pulp & Paper

     1.8%  

Business Equipment and Services

     1.5%  

Automotive

     1.4%  

Leisure

     1.4%  

Building and Development (including Steel/Metals)

     1.2%  

Food Products

     1.1%  

Retailers (other than Food/Drug)

     1.1%  

Short Term Investments

     0.9%  

Transportation

     0.8%  

Financial Intermediaries

     0.8%  

Industrial Equipment

     0.7%  

Beverage and Tobacco

     0.7%  

Pharmaceuticals

     0.5%  

Hotels/Motels/Inns and Casinos

     0.4%  

Insurance

     0.4%  

Food Service

     0.4%  

Environmental Control

     0.3%  

Food/Drug Retailers

     0.2%  

Construction

     0.2%  

Containers and Glass Products

     0.1%  

Cosmetics/Toiletries

     0.1%  

Other Assets and Liabilities

     (39.7)%  
 

 

 

  
                100.0%  
 

 

 

  
  (o)

Represents less than 0.05% of net assets

 

Notes to Schedule of Investments

December 31, 2021 (Unaudited)

 

1.  Organization

DoubleLine Income Solutions Fund (the “Fund”) was formed as a closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and originally classified as a non-diversified fund. The Fund is currently operating as a diversified fund. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund’s total assets is not subject to this limitation. The Fund was organized as a Massachusetts business trust on January 10, 2013 and commenced operations on April 26, 2013. The Fund is listed on the New York Stock Exchange (“NYSE”) under the symbol “DSL”. The Fund’s primary investment objective is to seek high current income and its secondary objective is to seek capital appreciation.

2.  Significant Accounting Policies

The Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, “Financial Services— Investment Companies”, by the Financial Accounting Standards Board (“FASB”). The following is a summary of the significant accounting policies of the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).

A. Security Valuation. The Fund has adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:

 

•  

Level 1—Unadjusted quoted market prices in active markets for identical securities

•  

Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data

•  

Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions)

Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.

 

Fixed-income class

   

Examples of Inputs

  

 

All    Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
Corporate bonds and notes; convertible securities    Standard inputs and underlying equity of the issuer
US bonds and notes of government and government agencies    Standard inputs
Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations)    Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports
Bank loans    Standard inputs

Investments in registered open-end management investment companies will be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy.

Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Due to custodian as recorded on the Statement of Assets and Liabilities is recorded at cost and approximates fair value; it is classified as level 2 under the fair value hierarchy.

Securities may be fair valued by the Adviser (as defined below) in accordance with the fair valuation procedures approved by the Board of Trustees (the “Board”). The Adviser’s valuation committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Adviser’s valuation committee and the pricing group are authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations or third party vendor prices are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market or fair value.

The following is a summary of the fair valuations according to the inputs used to value the Fund’s investments as of December 31, 2021:

 

Category

  

 

  

Investments in Securities

  

Level 1

  

Common Stocks

   $ 21,658,298  

Money Market Funds

     14,698,763  

 

  

 

 

  

Total Level 1

     36,357,061  

Level 2

  

Foreign Corporate Bonds

     997,906,572  

US Corporate Bonds

     434,805,611  

Non-Agency Commercial Mortgage Backed Obligations

     254,780,035  

Collateralized Loan Obligations

     240,839,124  

Bank Loans

     213,271,446  

US Government and Agency Mortgage Backed Obligations

     79,444,604  

Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations

     73,477,926  

Asset Backed Obligations

     22,082,138  

 

  

 

 

  

Total Level 2

     2,316,607,456  

Level 3

  

Non-Agency Commercial Mortgage Backed Obligations

     42,318,371  

Asset Backed Obligations

     19,767,035  

Common Stocks

     20,332,181  

Escrow Notes

     13,974,407  

Bank Loans

     1,940,216  

Foreign Corporate Bonds

     757,984  

Preferred Stocks

     590,221  

Collateralized Loan Obligations

     290,796  

Warrants

     1  

 

  

 

 

  

Total Level 3

     99,971,212  

 

  

 

 

  

Total

   $         2,452,935,729  

 

  

 

 

  

See the Schedule of Investments for further disaggregation of investment categories.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Fair Value
as of
9/30/2021		     Net
Realized
Gain
(Loss)		     Net Change in
Unrealized
Appreciation
(Depreciation)(c)		     Net Accretion
(Amortization)		     Purchases(a)     Sales(b)     Transfers
Into
Level 3(d)		     Transfers
Out of
Level 3(d)		     Fair Value
as of
12/31/2021		     Net Change in
Unrealized
Appreciation
(Depreciation)
on securities
held at
12/31/2021(c)		  

Investments in Securities

                    

Non-Agency Commercial Mortgage Backed Obligations

   $ 42,310,896     $ —       $ (131,032 )    $ 138,507     $ —       $ —       $ —       $ —       $ 42,318,371     $ (131,032 ) 

Common Stocks

     23,954,628       5,117,805       (4,224,035 )      —         2,231,220       (6,747,437 )      —         —         20,332,181       300,504  

Asset Backed Obligations

     20,940,415       3,216       (852,711 )      (77 )      114,086       (437,894 )      —         —         19,767,035       (839,125 ) 

Escrow Notes

     15,860,100       —         (709,695 )      —         —         (1,175,998 )      —         —         13,974,407       (709,695 ) 

Bank Loans

     1,946,144       2,156       (19,320 )      17,163       —         (5,927 )      —         —         1,940,216       (17,112 ) 

Foreign Corporate Bonds

     934,019       —         —         —         267,416       (443,451 )      —         —         757,984       —    

Preferred Stocks

     —         —         5,647       1,851       582,723       —         —         —         590,221       —    

Collateralized Loan Obligations

     287,791       —         (28,593 )      3,143       28,455       —         —         —         290,796       (1,505 ) 

Warrants

     1       —         —         —         —         —         —         —         1       —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 106,233,994     $ 5,123,177     $ (5,959,739 )    $ 160,587     $ 3,223,900     $ (8,810,707 )    $ —       $ —       $ 99,971,212     $ (1,397,965 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Purchases include all purchases of securities, payups and corporate actions.

(b)

Sales include all sales of securities, maturities, and paydowns.

(c)

Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at December 31, 2021 may be due to a security that was not held or categorized as Level 3 at either period end.

(d)

Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

      Fair
Value as
of
12/31/2021		      Valuation
Techniques		    Unobservable
Input		    Unobservable Input Values
(Weighted Average)(e)		      Impact to valuation from an
increase to input

Non-Agency Commercial Mortgage Backed Obligations

    $ 42,318,371      Market Comparables    Yields      10.00% - 35.00% (13.74%)      Increase in yields would have resulted in the decrease in the fair value of the security.

Common Stocks

    $ 20,332,181      Market Comparables    Market Quotes      $4.50 - $85.50 ($34.23)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Asset Backed Obligations

    $ 19,767,035      Market Comparables    Market Quotes      $69.65 - $5,518.76 ($1,381.48)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Escrow Notes

    $ 13,974,407      Market Comparables    Market Quotes      $76.66 ($76.66)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Bank Loans

    $ 1,940,216      Market Comparables    Market Quotes      $100.00 ($100.00)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

      Fair
Value as
of
12/31/2021		      Valuation
Techniques		    Unobservable
Input		    Unobservable Input Values
(Weighted Average)(e)		      Impact to valuation from an
increase to input

Foreign Corporate Bonds

    $ 757,984      Market Comparables    Market Quotes      $100.00 ($100.00)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security
   $ —        Enterprise Value    EBITDA multiples      5.5x (5.5x)      Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security

Preferred Stocks

    $ 590,221      Market Comparables    Market Quotes      $21.45 ($21.45)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Collateralized Loan Obligations

    $ 290,796      Market Comparables    Market Quotes      $0.00 - 26.99 ($26.99)      Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

Warrants

    $ 1      Intrinsic Value    Underlying Equity Price      $0.00 ($0.00)      Significant changes in the Underlying Equity Price would have resulted in direct changes in the fair value of the security

 

(e) 

Unobservable inputs were weighted by the relative fair value of the instruments.